Add Fd1d_BlackScholes_Pricer

gituliar · Feb 29, 2024 · fcba3a2 · fcba3a2
1 parent 2f0bec0
commit fcba3a2
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Showing 11 changed files with 150 additions and 53 deletions.
diff --git a/.vs/launch.vs.json b/.vs/launch.vs.json
@@ -17,7 +17,9 @@
       "currentDir": "${workspaceRoot}",
       "args": [
         "price",
-        "test/portfolio_42k.csv"
+        "--density 0.1",
+        "--scale 1",
+        "test/portfolio_qdfp.csv"
       ]
     }
   ]

diff --git a/Makefile b/Makefile
@@ -1,22 +1,8 @@
 bench:
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 128 -x 512 -t 512 | tee log/`hostname`_512_128.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 256 -x 512 -t 512 | tee log/`hostname`_512_256.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 512 -x 512 -t 512 | tee log/`hostname`_512_512.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 1024 -x 512 -t 512 | tee log/`hostname`_512_1024.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 2048 -x 512 -t 512 | tee log/`hostname`_512_2048.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 4096 -x 512 -t 512 | tee log/`hostname`_512_4096.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 8192 -x 512 -t 512 | tee log/`hostname`_512_8192.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 16384 -x 512 -t 512 | tee log/`hostname`_512_16384.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 4 -b 32768 -x 512 -t 512 | tee log/`hostname`_512_32768.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 128 -x 1024 -t 1024 | tee log/`hostname`_1024_128.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 256 -x 1024 -t 1024 | tee log/`hostname`_1024_256.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 512 -x 1024 -t 1024 | tee log/`hostname`_1024_512.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 1024 -x 1024 -t 1024 | tee log/`hostname`_1024_1024.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 2048 -x 1024 -t 1024 | tee log/`hostname`_1024_2048.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 4096 -x 1024 -t 1024 | tee log/`hostname`_1024_4096.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 8192 -x 1024 -t 1024 | tee log/`hostname`_1024_8192.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 16384 -x 1024 -t 1024 | tee log/`hostname`_1024_16384.log
-	out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 4 -b 32768 -x 1024 -t 1024 | tee log/`hostname`_1024_32768.log
+	out/linux-release/src/kwinto price -p FD1D-BS --density 0.30 --scale 50 test/portfolio_qdfp.csv
+	out/linux-release/src/kwinto price -p FD1D-BS --density 0.35 --scale 50 test/portfolio_qdfp.csv
+	out/linux-release/src/kwinto price -p FD1D-BS --density 0.40 --scale 50 test/portfolio_qdfp.csv
+	#out/linux-release/src/kwinto bench test/portfolio.csv -v --cpu32 --cpu64 --gpu32 --gpu64 -n 8 -b 8192 -x 512 -t 512 | tee log/`hostname`_512_8192.log
 
 
 release: config build check

diff --git a/src/CMakeLists.txt b/src/CMakeLists.txt
@@ -12,6 +12,7 @@ add_library(
   "Math/kwMath.cpp"
   "Pricer/kwBlackScholes.cpp"
   "Pricer/kwFd1d.cpp"
+  "Pricer/kwFd1d_BlackScholes.cpp"
   "Utils/kwPortfolio.cpp"
 
   "kwVersion.cpp"

diff --git a/src/Pricer/kwF1d1_BlackScholes.h b/src/Pricer/kwF1d1_BlackScholes.h
@@ -0,0 +1,23 @@
+#pragma once
+
+#include "Pricer/kwBlackScholes.h"
+#include "Pricer/kwFd1d.h"
+
+
+namespace kw {
+
+class Fd1d_BlackScholes_Pricer : public Pricer
+{
+private:
+    BlackScholes_Pricer
+        m_bs;
+    Fd1d_Pricer
+        m_fd1d;
+
+public:
+    Error
+        init(const Config& config) final;
+    Error
+        price(const vector<Option>& assets, vector<f64>& prices) final;
+};
+}
diff --git a/src/Pricer/kwFd1d.cpp b/src/Pricer/kwFd1d.cpp
@@ -9,6 +9,9 @@ using namespace kw;
 Error
 Fd1d_Pricer::init(const Config& config)
 {
+    m_density = config.get("FD1D.DENSITY", 0.25);
+    m_scale = config.get("FD1D.SCALE", 50.);
+
     m_tDim = config.get("FD1D.T_GRID_SIZE", 512);
     m_xDim = config.get("FD1D.X_GRID_SIZE", 512);
 
@@ -107,20 +110,17 @@ Fd1d_Pricer::price(const vector<Option>& assets, vector<f64>& prices)
     for (auto i = 0; i < m; ++i) {
         const auto& asset = assets[pde2asset[i]];
 
-        const f64 density = 0.5;
-        const f64 scale = 50;
-
         const f64 xMid = 0.; // log(asset.s / asset.k);
-        const f64 xMin = xMid - scale * asset.z * sqrt(asset.t);
-        const f64 xMax = xMid + scale * asset.z * sqrt(asset.t);
+        const f64 xMin = xMid - m_scale * asset.z * sqrt(asset.t);
+        const f64 xMax = xMid + m_scale * asset.z * sqrt(asset.t);
 
-        const f64 yMin = asinh((xMin - xMid) / density);
-        const f64 yMax = asinh((xMax - xMid) / density);
+        const f64 yMin = asinh((xMin - xMid) / m_density);
+        const f64 yMax = asinh((xMax - xMid) / m_density);
 
         const f64 dy = 1. / (m_xDim - 1);
         for (auto j = 0; j < m_xDim; ++j) {
             const f64 yj = j * dy;
-            m_x(i, j) = xMid + density * sinh(yMin * (1.0 - yj) + yMax * yj);
+            m_x(i, j) = xMid + m_density * sinh(yMin * (1.0 - yj) + yMax * yj);
         }
     }
 

diff --git a/src/Pricer/kwFd1d.h b/src/Pricer/kwFd1d.h
@@ -9,11 +9,13 @@
 namespace kw
 {
 
-///
 ///      𝒜 = -r + (r - z²/2) 𝒟x + z²/2 𝒟xx
+///
 class Fd1d_Pricer : public Pricer
 {
 private:
+    f64 m_density;
+    f64 m_scale;
     u64 m_tDim;
     u64 m_xDim;
 

diff --git a/src/Pricer/kwFd1d_BlackScholes.cpp b/src/Pricer/kwFd1d_BlackScholes.cpp
@@ -0,0 +1,43 @@
+#include "Pricer/kwF1d1_BlackScholes.h"
+
+using namespace kw;
+
+
+Error
+Fd1d_BlackScholes_Pricer::init(const Config& config)
+{
+    if (auto err = m_fd1d.init(config); !err.empty())
+        return "Fd1d_BlackScholes_Pricer::init : " + err;
+
+    return "";
+}
+
+Error
+Fd1d_BlackScholes_Pricer::price(const vector<Option>& assets, vector<f64>& prices)
+{
+    if (auto err = m_fd1d.price(assets, prices); !err.empty())
+        return "Fd1d_BlackScholes_Pricer::price : " + err;
+
+    auto assets_ = assets;
+    for (auto& asset : assets_)
+        asset.e = false;
+
+    vector<f64> pricesFd1d;
+    pricesFd1d.resize(prices.size());
+    if (auto err = m_fd1d.price(assets_, pricesFd1d); !err.empty())
+        return "Fd1d_BlackScholes_Pricer::price : " + err;
+
+    vector<f64> pricesBs;
+    pricesBs.resize(prices.size());
+
+    BlackScholes_Pricer bs;
+    if (auto err = m_bs.price(assets_, pricesBs); !err.empty())
+        return "Fd1d_BlackScholes_Pricer::price : " + err;
+
+
+    for (auto i = 0; i < prices.size(); i++) {
+        prices[i] += pricesBs[i] - pricesFd1d[i];
+    }
+
+    return "";
+}
diff --git a/src/Pricer/kwPricerFactory.h b/src/Pricer/kwPricerFactory.h
@@ -3,6 +3,7 @@
 #include "Core/kwConfig.h"
 #include "Pricer/kwBlackScholes.h"
 #include "Pricer/kwFd1d.h"
+#include "Pricer/kwF1d1_BlackScholes.h"
 
 
 namespace kw
@@ -18,23 +19,25 @@ class PricerFactory
         if (mode.empty())
             return "PricerFactory: Missing PRICER key";
 
-        if (mode == "BS")
-        {
+        if (mode == "BS") {
             pricer = make_sPtr<BlackScholes_Pricer>();
-            if (auto error = pricer->init(config); !error.empty())
-                return "PricerFactory: " + error;
-            return "";
+            if (auto err = pricer->init(config); !err.empty())
+                return "PricerFactory: " + err;
         }
-
-        if (mode == "FD1D")
-        {
+        else if (mode == "FD1D") {
             pricer = make_sPtr<Fd1d_Pricer>();
-            if (auto error = pricer->init(config); !error.empty())
-                return "PricerFactory: " + error;
-            return "";
+            if (auto err = pricer->init(config); !err.empty())
+                return "PricerFactory: " + err;
+        }
+        else if (mode == "FD1D-BS") {
+            pricer = make_sPtr<Fd1d_BlackScholes_Pricer>();
+            if (auto err = pricer->init(config); !err.empty())
+                return "PricerFactory: " + err;
         }
+        else
+            return "PricerFactory: Unknown PRICER = " + mode;
 
-        return "PricerFactory: Unknown PRICER = " + mode;
+        return "";
     }
 };
 

diff --git a/src/kwinto.cpp b/src/kwinto.cpp
@@ -22,8 +22,10 @@ kwinto - Options Pricing Analytics
     <path>          CSV file with options data
 
 Options:
+    --density <num> Density of the x-grid distribution [default: 0.25]
+    --scale <num>   Scale of the x-grid distribution [default: 50.0]
     -e <num>        Reject option prices less than <num> from RRMS error stats [default: 0.5]
-    -n <num>        Run <num> batches (when 0 run all) [default: 0]
+    -p <name>       Pricer name [default: FD1D-BS]
     -t <num>        Use <num> points for t-grid [default: 512]
     -x <num>        Use <num> points for x-grid [default: 512]
     -v              Show extra details, be verbose
@@ -41,13 +43,24 @@ kw::Error
 {
     kw::Config config;
 
-    config.set("PRICER", "FD1D");
+    config.set("PRICER", args.at("-p").asString());
+
+    f64 density;
+    if (auto error = kw::fromString(args.at("--density").asString(), density); !error.empty())
+        return "cmdBench: Fail to parse '--density <num>': " + error;
+    config.set("FD1D.DENSITY", density);
+
+    f64 scale;
+    if (auto error = kw::fromString(args.at("--scale").asString(), scale); !error.empty())
+        return "cmdBench: Fail to parse '--scale <num>': " + error;
+    config.set("FD1D.SCALE", scale);
+
     config.set("FD1D.T_GRID_SIZE", args.at("-t").asLong());
     config.set("FD1D.X_GRID_SIZE", args.at("-x").asLong());
 
-    double tolerance;
+    f64 tolerance;
     if (auto error = kw::fromString(args.at("-e").asString(), tolerance); !error.empty())
-        return "cmdBench: Fail to parse '-n <num>': " + error;
+        return "cmdBench: Fail to parse '-e <num>': " + error;
 
     /// Load Portfolio
     ///

diff --git a/test/kwPricer_test.cpp b/test/kwPricer_test.cpp
@@ -20,12 +20,12 @@ class kwPricerTest : public testing::Test {
             {{1.0, 100., 0.2, 0.06, 0.02, 100., 0, +1}, 9.729},
             {{1.0, 100., 0.2, 0.06, 0.02, 110., 0, +1}, 16.633},
 
-            {{1.0, 100., 0.2, 0.06, 0.08,  90., 1, -1}, 13.988},
-            {{1.0, 100., 0.2, 0.06, 0.08, 100., 1, -1}, 8.409},
-            {{1.0, 100., 0.2, 0.06, 0.08, 110., 1, -1}, 4.659},
-            {{1.0, 100., 0.2, 0.06, 0.08,  90., 1, +1}, 2.947},
-            {{1.0, 100., 0.2, 0.06, 0.08, 100., 1, +1}, 6.842},
-            {{1.0, 100., 0.2, 0.06, 0.08, 110., 1, +1}, 12.794}
+            {{1.0, 100., 0.2, 0.06, 0.08,  90., 1, -1}, 13.988121682},
+            {{1.0, 100., 0.2, 0.06, 0.08, 100., 1, -1}, 8.409190396},
+            {{1.0, 100., 0.2, 0.06, 0.08, 110., 1, -1}, 4.6592955111},
+            {{1.0, 100., 0.2, 0.06, 0.08,  90., 1, +1}, 2.9472036256},
+            {{1.0, 100., 0.2, 0.06, 0.08, 100., 1, +1}, 6.8422540642},
+            {{1.0, 100., 0.2, 0.06, 0.08, 110., 1, +1}, 12.7940107108}
         };
     }
 
@@ -82,3 +82,27 @@ TEST_F(kwPricerTest, Fd1d)
         EXPECT_NEAR(want, got, 1.3e-3);
     }
 }
+
+
+TEST_F(kwPricerTest, Fd1dBlackScholes)
+{
+    std::vector<Option> assets;
+    for (const auto& test : m_testData)
+        assets.push_back(test.first);
+
+    kw::Config config;
+    config.set("PRICER", "FD1D-BS");
+
+    kw::sPtr<kw::Pricer> pricer;
+    ASSERT_EQ(kw::PricerFactory::create(config, pricer), "");
+
+    std::vector<f64> prices;
+    ASSERT_EQ(pricer->price(assets, prices), "");
+
+    for (auto i = 0; i < m_testData.size(); ++i) {
+        const auto& want = m_testData[i].second;
+        const auto& got = prices[i];
+
+        EXPECT_NEAR(want, got, 1.3e-3);
+    }
+}
diff --git a/test/portfolio.py b/test/portfolio.py
@@ -91,14 +91,14 @@ def generate(fo, portfolio):
         z = [0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3, 1.4, 1.5]
 
     def to_string(x):
-        x_ = round(x, 6) + 0
-        return f'{x_:.6f}'.rstrip('0')
+        x_ = round(x, 12) + 0
+        return f'{x_:.12f}'.rstrip('0')
 
     fo.write('expiry,spot,strike,volatility,interest_rate,dividend_rate,parity,exercise,price\n')
     #fo.write('expiry,spot,strike,volatility,interest_rate,dividend_rate,parity,exercise,price,delta,gamma,vega,theta,rgo\n')
     for option in product(t, s, k, z, r, q, w, e):
         t, s, k, z, r, q, w, e = option
-        price_ = price(*option)
+        price_ = to_string(price(*option))
         #price_ = to_string(price(*option))
         #delta_ = to_string(delta(**kwargs))
         #gamma_ = to_string(gamma(**kwargs))